Unifying constructions of martingales associated with processes increasing in the convex order, via Lévy and Sato sheets

DOI10.1016/j.exmath.2010.04.001zbMath1223.60027OpenAlexW2085721427MaRDI QIDQ607068

Marc Yor, Francis Hirsch, Bernard Roynette

Publication date: 19 November 2010

Published in: Expositiones Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.exmath.2010.04.001

zbMATH Keywords

martingalesLévy sheetsPCOCprocess increasing in the convex orderSato sheetsspace-time harmonic functions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07)

Related Items (4)

Peacocks Obtained by Normalisation: Strong and Very Strong Peacocks ⋮ IDT processes and associated Lévy processes with explicit constructions ⋮ MIMICKING FINITE DIMENSIONAL MARGINALS OF A CONTROLLED DIFFUSION WITH JUMPS ⋮ From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order

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